Insurance: Mathematics and Economics

1982 - 2025

Current editor(s): R. Kaas, Hansjoerg Albrecher, M. J. Goovaerts and E. S. W. Shiu

From Elsevier
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Volume 125, issue C, 2025

Co-opetition in reinsurance markets: When Pareto meets Stackelberg and Nash

Jingyi Cao, Dongchen Li, Virginia R. Young and Bin Zou

L-estimation of claim severity models weighted by Kumaraswamy density

Chudamani Poudyal, Gokarna R. Aryal and Keshav P. Pokhrel

Pitfalls in machine learning interpretability: Manipulating partial dependence plots to hide discrimination

Xi Xin, Giles Hooker and Fei Huang

Bayesian CART models for aggregate claim modeling

Yaojun Zhang, Lanpeng Ji, Georgios Aivaliotis and Charles C. Taylor

Optimal timing of green technology adoption for climate risk mitigation

Jiannan Zhang, Kun Fan, Zhuo Jin and Nan Zhang

Distributionally robust tail bounds based on Wasserstein distance and f-divergence

Corina Birghila, Maximilian Aigner and Sebastian Engelke

Portfolio selection and risk sharing via risk budgeting

Vali Asimit, Wing Fung Chong, Radu Tunaru and Feng Zhou

Equilibrium investment strategies for a defined contribution pension plan with random risk aversion

Ling Wang and Bowen Jia

Optimal life insurance and annuity decisions under money illusion

Wenyuan Li and Pengyu Wei

Uniform asymptotic estimates for ruin probabilities of a multidimensional risk model with càdlàg returns and multivariate heavy tailed claims

Dimitrios G. Konstantinides and Charalampos D. Passalidis

An observation-driven state-space count model for experience rating

Jae Youn Ahn, Himchan Jeong, Yang Lu and Mario V. Wüthrich

Ordering higher risks in Yaari's dual theory

A. Castaño-Martínez, G. Pigueiras, C.D. Ramos and M.A. Sordo

A note on bequest preferences in utility maximisation for modern tontines

Thomas Bernhardt

Non-parametric estimators of scaled cash flows

Theis Bathke and Christian Furrer

Avoiding a longevity catastrophe: Harnessing longevity indices to mitigate individual, institutional and systemic longevity risks

Guy Coughlan

An optimal periodic dividend and risk control problem for an insurance company

Mark Kelbert and Harold A. Moreno-Franco

Development of multimorbidity patterns in older adults in Switzerland: A competing risks modeling approach

Laura Iveth Aburto Barrera, Anna Nicolet, Christophe Bagnoud, Joachim Marti and Joël Wagner

Diversification effect in multivariate optimal risk transfer

Vali Asimit, Tsz Chai Fung, Liang Peng and Fang Yang

Censored and extreme losses: Functional convergence and applications to tail goodness-of-fit

Martin Bladt and Christoffer Øhlenschlæger

Dynamic derivative-based pension investment with stochastic volatility: A behavioral perspective

Zheng Chen, Zhongfei Li, Yan Zeng and Yang Shen

Robust time-consistent Stackelberg differential game for insurance with stochastic interest rates and 4/2 stochastic volatility

Hao Chang and Xiao-Jia Li

Dynamic investment-driven insurance pricing and optimal regulation

Bingzheng Chen, Zongxia Liang and Shunzhi Pang

Individual survivor fund account: The impact of bequest motives on tontine participation

Tak Wa Ng and Thai Nguyen

Modelling seasonal mortality: An age–period–cohort approach

Jean-François Bégin, Mathieu Boudreault and Thomas Landry

Transformers-based least square Monte Carlo for solvency calculation in life insurance

Francesca Perla, Salvatore Scognamiglio, Andrea Spadaro and Paolo Zanetti

Robust parameter estimation for the Lee-Carter family: A probabilistic principal component approach

Yiping Guo and Johnny Siu-Hang Li

Optimal consumption-leisure-investment and retirement choices with nonconcave aspirational utility

Shuang Li, Hui Meng and Ming Zhou

Numerical methods for computing risk measures of variable annuities under exponential Lévy models

Oleg Kudryavtsev and Xiao Wei

Additive tree latent variable models with applications to insurance loss prediction

Zhihao Wang, Yanlin Shi and Guangyuan Gao

Life care reverse mortgages: Monitoring the net cashflows of a new hybrid insurance product

Giovanna Apicella, Emilia Di Lorenzo, Giulia Magni and Marilena Sibillo

Optimal risk sharing with correlated insurance businesses in a Stackelberg-Nash differential game

Mengyu Wu, Zhibin Liang and Qingqing Zhang

Risk measures on Musielak-Orlicz spaces: A state-dependent perspective for insurance

Francesco Strati

Volume 124, issue C, 2025

Optimal valuation of variable annuity guaranteed lifetime withdrawal benefits with embedded top-up option

Budhi Arta Surya and Wawan Hafid Syaifudin

The principle of a single big jump from the perspective of tail moment risk measure

Jinzhu Li

Robust asset-liability management games in a stochastic market with stochastic cash flows under HARA utility

Ning Wang and Yumo Zhang

Data-rich economic forecasting for actuarial applications

Felix Zhu, Yumo Dong and Fei Huang

Care-dependent target benefit pension plan with minimum liability gap

Ruotian Ti, Ximin Rong, Cheng Tao and Hui Zhao

Experience rating in the Cramér-Lundberg model

Melanie Averhoff and Julie Thøgersen

As-if-Markov reserves for reserve-dependent payments

Marcus C. Christiansen and Boualem Djehiche

Forecasting and backtesting gradient allocations of expected shortfall

Takaaki Koike, Cathy W.S. Chen and Edward M.H. Lin

Risk exchange under infinite-mean Pareto models

Yuyu Chen, Paul Embrechts and Ruodu Wang

A usage-based insurance (UBI) pricing model considering customer retention

Hong-Jie Li, Xing-Gang Luo, Zhong-Liang Zhang, Shen-Wei Huang and Wei Jiang

Volume 123, issue C, 2025

Portfolio benchmarks in defined contribution pension plan management

Daxin Huang and Yang Liu

Improving detections of serial dynamics for longitudinal actuarial data with underwriting-controlled testing

Tsz Chai Fung

Approximations of multi-period liability values by simple formulas

Nils Engler and Filip Lindskog

Learning from COVID-19: A catastrophe mortality bond solution in the post-pandemic era

Ze Chen, Hong Li, Yu Mao and Kenneth Q. Zhou

Pricing and hedging of variable annuities with path-dependent guarantee in Wishart stochastic volatility models

José Da Fonseca and Patrick Wong

Optimal insurance contract under mean-variance preference with value at risk constraint

Zixuan Li, Hui Meng and Ming Zhou

Efficient hedging of life insurance portfolio for loss-averse insurers

Edouard Motte and Donatien Hainaut

Volume 122, issue C, 2025

Robust indifference valuation of catastrophe bonds pp. 1-10

Haibo Liu

Subjective survival beliefs and the life-cycle model pp. 11-29

Seung Yeon Jeong, Iqbal Owadally, Steven Haberman and Douglas Wright

Identifying scenarios for the own risk and Solvency assessment of insurance companies pp. 30-43

Philipp Aigner

Auto insurance fraud detection: Leveraging cost sensitive and insensitive algorithms for comprehensive analysis pp. 44-60

Meryem Yankol Schalck

Insurance contract for electric vehicle charging stations: A Stackelberg game-theoretic approach pp. 61-81

Yuanmin Jin, Zhuo Jin and Jiaqin Wei

Almost stochastic dominance: Magnitude constraints on risk aversion pp. 82-90

Liqun Liu and Jack Meyer

Efficient and proper generalised linear models with power link functions pp. 91-118

Vali Asimit, Alexandru Badescu, Ziwei Chen and Feng Zhou

Efficient evaluation of risk allocations pp. 119-136

Christopher Blier-Wong, Hélène Cossette and Etienne Marceau

Self-protection under Nth-degree risk increase of random unit cost pp. 137-142

Yongjin Yin and Shengwang Meng

The impact of intermediaries on insurance demand and pricing pp. 143-156

Dongchen Li, Yan Zeng and Yixing Zhao

A generalized tail mean-variance model for optimal capital allocation pp. 157-179

Yang Yang, Guojing Wang, Jing Yao and Hengyue Xie

Pricing insurance contracts with an existing portfolio as background risk pp. 180-193

Corrado De Vecchi and Matthias Scherer

Optimal reinsurance from an optimal transport perspective pp. 194-213

Beatrice Acciaio, Hansjörg Albrecher and Brandon García Flores

Length of stay in residential aged care: Patterns and determinants from a population-based cohort study pp. 214-229

Mengyi Xu and Gaoyun Yan

Mean-variance optimization for participating life insurance contracts pp. 230-248

Felix Fießinger and Mitja Stadje

Forecasting age distribution of deaths: Cumulative distribution function transformation pp. 249-261

Han Lin Shang and Steven Haberman

Bayesian adaptive portfolio optimization for DC pension plans pp. 262-274

Shuping Gao, Junyi Guo and Xiaoqing Liang

Equilibrium intergenerational risk-sharing design for a target benefit pension plan pp. 275-299

Lv Chen, Danping Li, Yumin Wang and Xiaobai Zhu